On COR, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On COR, 0 of 20 famous strategies beat buy-and-hold on daily bars, and 0 of them hold out of sample. The best is "Sell in May and go away" at -7.2 points a year over buying and holding, while the worst is ICT / Smart Money: the fair value gap at -18.0 points a year against buy-and-hold.
| Strategy | Return | Buy and hold | Excess (pts/yr) | Vs. S&P 500 (pts/yr) | Out of sample | Trades |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×24 | ×172 | -7.2% | -0.4% | — | 63 |
| The golden cross (50/200) | ×19 | ×172 | -8.0% | -1.1% | overfit | 40 |
| Kaufman’s adaptive moving average (KAMA) | ×15 | ×172 | -8.7% | -1.9% | overfit | 1097 |
| Supertrend: the line that changes colour | ×15 | ×172 | -8.7% | -1.9% | overfit | 60 |
| Only invest above the 200-day average | ×14 | ×172 | -9.0% | -2.2% | overfit | 246 |
| Ichimoku: buy above the cloud | ×13 | ×172 | -9.4% | -2.6% | partly | 385 |
| RSI 14: buy oversold (30/70) | ×12 | ×172 | -9.7% | -2.8% | partly | 64 |
| The MACD cross (12/26/9) | 853.5% | ×172 | -10.3% | -3.5% | overfit | 641 |
| ADX: trade only in strong trends | 503.5% | ×172 | -11.9% | -5.1% | overfit | 1011 |
| The Turtles: 55-day breakout | 475.5% | ×172 | -12.1% | -5.2% | overfit | 123 |
| Parabolic SAR: follow the dots | 462.3% | ×172 | -12.1% | -5.3% | overfit | 697 |
| Wyckoff: buying the accumulation | 367.3% | ×172 | -12.8% | -5.9% | overfit | 190 |
| Heikin Ashi: follow the coloured candles | 137.0% | ×172 | -15.0% | -8.2% | overfit | 2070 |
| Stochastic: oversold cross (14, 3) | 111.0% | ×172 | -15.4% | -8.5% | overfit | 404 |
| Bounce off the lower Bollinger band | 30.4% | ×172 | -16.9% | -10.1% | overfit | 246 |
| 2-day RSI (the Connors rule) | 30.0% | ×172 | -17.0% | -10.1% | overfit | 662 |
| Smart Money: the liquidity sweep | 8.8% | ×172 | -17.5% | -10.7% | overfit | 134 |
| Upper Bollinger band breakout | 2.4% | ×172 | -17.7% | -10.9% | overfit | 532 |
| ICT / Smart Money: the order block | -2.4% | ×172 | -17.9% | -11.0% | overfit | 12 |
| ICT / Smart Money: the fair value gap | -7.2% | ×172 | -18.0% | -11.2% | overfit | 204 |
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